Area Distribution of Elastic Brownian Motion

We calculate the excursion and meander area distributions of the elastic Brownian motion by using the self adjoint extension of the Hamiltonian of the free quantum particle on the half line. We also give some comments on the area of the Brownian motion bridge on the real line with the origin removed. We will stress on the power of self adjoint extension to investigate different possible boundary conditions for the stochastic processes.Comment: 18 pages, published versio

The role of the agent's outside options in principal-agent relationships

We consider a principal-agent model of adverse selection where, in order to trade with the principal, the agent must undertake a relationship-specific investment which affects his outside option to trade, i.e. the payoff that he can obtain by trading with an alternative principal. This creates a distinction between the agent’s ex ante (before investment) and ex post (after investment) outside options to trade. We investigate the consequences of this distinction, and show that whenever an agent’s ex ante and ex post outside options differ, this may equip the principal with an additional tool for screening among different agent types, by randomizing over the probability with which trade occurs once the agent has undertaken the investment. In turn, this may enhance the efficiency of the optimal second-best contract

Bessel bridges decomposition with varying dimension. Applications to finance

We consider a class of stochastic processes containing the classical and well-studied class of Squared Bessel processes. Our model, however, allows the dimension be a function of the time. We first give some classical results in a larger context where a time-varying drift term can be added. Then in the non-drifted case we extend many results already proven in the case of classical Bessel processes to our context. Our deepest result is a decomposition of the Bridge process associated to this generalized squared Bessel process, much similar to the much celebrated result of J. Pitman and M. Yor. On a more practical point of view, we give a methodology to compute the Laplace transform of additive functionals of our process and the associated bridge. This permits in particular to get directly access to the joint distribution of the value at t of the process and its integral. We finally give some financial applications to illustrate the panel of applications of our results

Solution of the Fokker-Planck equation with a logarithmic potential and mixed eigenvalue spectrum

Motivated by a problem in climate dynamics, we investigate the solution of a Bessel-like process with negative constant drift, described by a Fokker-Planck equation with a potential V(x) = - [b \ln(x) + a\, x], for b>0 and a<0. The problem belongs to a family of Fokker-Planck equations with logarithmic potentials closely related to the Bessel process, that has been extensively studied for its applications in physics, biology and finance. The Bessel-like process we consider can be solved by seeking solutions through an expansion into a complete set of eigenfunctions. The associated imaginary-time Schroedinger equation exhibits a mix of discrete and continuous eigenvalue spectra, corresponding to the quantum Coulomb potential describing the bound states of the hydrogen atom. We present a technique to evaluate the normalization factor of the continuous spectrum of eigenfunctions that relies solely upon their asymptotic behavior. We demonstrate the technique by solving the Brownian motion problem and the Bessel process both with a negative constant drift. We conclude with a comparison with other analytical methods and with numerical solutions.Comment: 21 pages, 8 figure

On exact time-averages of a massive Poisson particle

In this work we study, under the Stratonovich definition, the problem of the damped oscillatory massive particle subject to a heterogeneous Poisson noise characterised by a rate of events, \lambda (t), and a magnitude, \Phi, following an exponential distribution. We tackle the problem by performing exact time-averages over the noise in a similar way to previous works analysing the problem of the Brownian particle. From this procedure we obtain the long-term equilibrium distributions of position and velocity as well as analytical asymptotic expressions for the injection and dissipation of energy terms. Considerations on the emergence of stochastic resonance in this type of system are also set forth.Comment: 21 pages, 5 figures. To be published in Journal of Statistical Mechanics: Theory and Experimen

Anomalous Processes with General Waiting Times: Functionals and Multipoint Structure

Many transport processes in nature exhibit anomalous diffusive properties with non-trivial scaling of the mean square displacement, e.g., diffusion of cells or of biomolecules inside the cell nucleus, where typically a crossover between different scaling regimes appears over time. Here, we investigate a class of anomalous diffusion processes that is able to capture such complex dynamics by virtue of a general waiting time distribution. We obtain a complete characterization of such generalized anomalous processes, including their functionals and multi-point structure, using a representation in terms of a normal diffusive process plus a stochastic time change. In particular, we derive analytical closed form expressions for the two-point correlation functions, which can be readily compared with experimental data.Comment: Accepted in Phys. Rev. Let

Convergence to equilibrium for many particle systems

The goal of this paper is to give a short review of recent results of the authors concerning classical Hamiltonian many particle systems. We hope that these results support the new possible formulation of Boltzmann's ergodicity hypothesis which sounds as follows. For almost all potentials, the minimal contact with external world, through only one particle of $N$, is sufficient for ergodicity. But only if this contact has no memory. Also new results for quantum case are presented

On the distribution of estimators of diffusion constants for Brownian motion

We discuss the distribution of various estimators for extracting the diffusion constant of single Brownian trajectories obtained by fitting the squared displacement of the trajectory. The analysis of the problem can be framed in terms of quadratic functionals of Brownian motion that correspond to the Euclidean path integral for simple Harmonic oscillators with time dependent frequencies. Explicit analytical results are given for the distribution of the diffusion constant estimator in a number of cases and our results are confirmed by numerical simulations.Comment: 14 pages, 5 figure

Loop-Erasure of Plane Brownian Motion

We use the coupling technique to prove that there exists a loop-erasure of a plane Brownian motion stopped on exiting a simply connected domain, and the loop-erased curve is the reversal of a radial SLE$_2$ curve.Comment: 10 page

A numerical approach to copolymers at selective interfaces

We consider a model of a random copolymer at a selective interface which undergoes a localization/delocalization transition. In spite of the several rigorous results available for this model, the theoretical characterization of the phase transition has remained elusive and there is still no agreement about several important issues, for example the behavior of the polymer near the phase transition line. From a rigorous viewpoint non coinciding upper and lower bounds on the critical line are known. In this paper we combine numerical computations with rigorous arguments to get to a better understanding of the phase diagram. Our main results include: - Various numerical observations that suggest that the critical line lies strictly in between the two bounds. - A rigorous statistical test based on concentration inequalities and super-additivity, for determining whether a given point of the phase diagram is in the localized phase. This is applied in particular to show that, with a very low level of error, the lower bound does not coincide with the critical line. - An analysis of the precise asymptotic behavior of the partition function in the delocalized phase, with particular attention to the effect of rare atypical stretches in the disorder sequence and on whether or not in the delocalized regime the polymer path has a Brownian scaling. - A new proof of the lower bound on the critical line. This proof relies on a characterization of the localized regime which is more appealing for interpreting the numerical data.Comment: accepted for publication on J. Stat. Phy